我国可转债二叉树法定价研究

本文通过分析我国可转债复杂条款和所嵌期权特性,确定采用数值方法求解。在进一步讨论我国可转债条款中包含的特别向下修正权对定价问题复杂化的基础上,构造嵌套二叉树图法解决路径依赖问题对可转债定价。以招行转债为例实证分析,总结定价结果与市场价格差异的主要原因。

China changeable bond bintree measures pricing research

Based on analysis of the complex transferable debt terms and options characters in China, this article uses the Numerical Procedures to get the answer. Through further discussion on the topic that the special downward modification right included in transferable debt terms makes pricemaking more complicated in China, this article establishes duplicate Binomial Trees method to solve path dependence problem to make prices of the transferable debt. And it also analyzes the event of Zhaoshang Bank transferring debt as an example to summarize the main reasons of difference between theoretical results and the real prices in the market.